The statistics below come from the first systematic strategy developed with Judge Research's software stack. We are currently working on the code base needed to go live with test capital.
The strategy is a long-short strategy that holds positions in BTC & ETH spot & perps for time periods of 15 minutes - 1 hour. It is designed to have close to zero correlation with the market over the long run.
Figures are refreshed on a daily basis, with enough delay they cannot be used by others. All the data below comes from after the models were fit & the strategy designed. Slippage + fees are assumed to be 17.5 basis points.
| Start | End | Duration | Exposure | n Pos. | Mean Hold Time | Returns Summed | Cumulative | Annualized | Buy & Hold | Sharpe | Sortino | Win % | W/Out Slip. | Max Drawdown | M.D. Duration |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022-11-17 06:45 | 2022-12-21 03:00 | 33 days 20:15 | 6.96% | 167 | 0 days 00:20 | 23.71% | 25.48% | 655.94% | 0.16% | 5.91 | 6.28 | 57.49% | 76.65% | -3.1% | 10 days 02:10 |
If a strategy is profitable only with very particular settings, it is more likely to be overfit. Ideally one would see a smooth, concave distribution over a space of reasonable parameter values.
Rotate the figure and zoom in to explore the distribution of our strategy's profitability over where we set our take-action thresholds.
Notice that the profitability of the strategy presented here is much lower than could be achieved by other combinations of thresholds.
Backtest.optimize: 0%| | 0/75 [00:00<?, ?it/s]
fc.tail
<bound method NDFrame.tail of btc eth link \
ytfB_fc ytfB2_fc ytfB_fc ytfB2_fc ytfB_fc
StartDate
2022-11-17 06:45:00 0.088321 0.055905 0.055587 0.048248 0.052558
2022-11-17 07:00:00 0.186299 0.148108 0.247747 0.158724 0.282590
2022-11-17 07:15:00 0.068082 0.050843 0.145483 0.108067 0.088881
2022-11-17 07:30:00 0.078548 0.050282 0.079213 0.064611 0.088216
2022-11-17 07:45:00 0.024205 -0.006565 0.013812 0.008687 0.046650
... ... ... ... ... ...
2022-12-21 02:00:00 -0.008844 -0.030668 -0.011884 -0.032116 0.025345
2022-12-21 02:15:00 -0.143385 -0.115902 -0.124143 -0.095269 -0.051784
2022-12-21 02:30:00 -0.061301 -0.059095 -0.061096 -0.046150 -0.058632
2022-12-21 02:45:00 0.053876 0.042690 0.057625 0.054329 0.045410
2022-12-21 03:00:00 0.285056 0.186473 0.312462 0.182453 0.340116
ytfB2_fc
StartDate
2022-11-17 06:45:00 0.038881
2022-11-17 07:00:00 0.184063
2022-11-17 07:15:00 0.068403
2022-11-17 07:30:00 0.051960
2022-11-17 07:45:00 0.010703
... ...
2022-12-21 02:00:00 -0.021244
2022-12-21 02:15:00 -0.054353
2022-12-21 02:30:00 -0.039686
2022-12-21 02:45:00 0.048614
2022-12-21 03:00:00 0.201864
[3245 rows x 6 columns]>